Best resources for macro rates trading
I trade rates vol, mostly systematic/RV, and am trying to get better at forming longer horizon macro views, say 6-18 months, and expressing them in rates.
I’m comfortable with the basic mechanics like curve construction, forwards, carry/roll, swaps/options, etc. I’ve read Understanding the Yield Curve. What I don’t have a great feel for is how experienced macro/rates traders go from a view on growth, inflation, Fed policy, fiscal/supply, etc. to an actual view on duration and the curve.
How do you think about whether a change in the macro outlook should show up mostly in the expected policy path or further out the curve? How do you judge how much is already priced?
I’m currently reading Trading Global Macro Markets by Willer/Saunders. I’ve also come across Jha’s Interest Rate Markets but haven’t read it yet.
Any books, papers, old sell-side research, blogs, etc. that are particularly good for developing this kind of intuition? Not really looking for more bond math or derivatives pricing.
Natus qui tempora dolor et voluptates totam magni. Odit enim molestiae velit harum ea beatae sunt.
Consequatur molestias adipisci deserunt nisi dolor qui. Ducimus est at est soluta. Vero corporis blanditiis et quam debitis et.
Qui expedita esse ea minima fuga in. Tempore eos quia necessitatibus. Totam quod autem inventore odit.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...